ASSET LIABILITY MANAGEMENT WORKSHOP: PRINCIPLES AND SIMULATIONS OF STRUCTURAL RISK MANAGEMENT STRATEGY
The financial crisis stressed the importance of liquidity and financial rate risk management, often considered of lesser importance in the past. Subsequent prudential and regulatory responses that followed the crisis entirely renewed the way in which Asset Liability Management is run.
In response to these regulatory initiatives, the CIBFM and ALM-Vision developed a workshop to encourage its banking members to actively develop management of structural and liquidity risk affecting the balance sheet and income statements.
In the context of the workshop, the training team will bring up the three following themes:
The primary purpose of Asset Liability Management · Principles and challenges of modeling
Managing structural risks: financial rate risk / liquidity risk / FX risk / equity, commodities, real estate risk / capital management strategy
This will be completed with a simulation workshop for participants to understand the construction of a full simulation and assess the impact of a number of scenarios on different examples.
This workshop caters especially to financial directors, to treasurers and to heads of Asset Liability Management and financial strategy and to their team members.
CIBFM and ALM-Vision offer you to partake in more than 20 years of experience by the ALM-Vision team in analysis, advisory, structuring and setting up Asset Liability Management strategy for banks and government entities.
Benefits to Participants
Participants will gain familiarity with the international regulatory requirements on Asset Liability Management in the conventional sector as well as an introduction to the specificities of Asset Liability Management for Islamic financial institutions and the type of challenges specific to Islamic banks for Asset Liability Management and risk management, particularly pertaining to liquidity risk.
Participants will also gain familiarity with operational simulation in order to base their decisions and recommendations on quantitative elements.
Through the analysis and explanations of the issues faced by some cases of institutional failure observed during the crisis, they will reinforce their culture in Asset Liability Management.
Participants to this interactive simulation-based workshop will gain exposure to international best practices and to the integration of new international standards to the operational modeling of their Asset Liability Management including stress testing and ratio of financial rate risk and liquidity (Liquidity Coverage Ratio (LCR), Net Stable Funding Ratio (NSFR) etc.) under IAS / IFRS. The course will mix theoretical dimensions to Asset Liability Management with applied practical simulations using user-friendly simulation software.
• Dynamic modeling of income statements and balance sheet, key variables to model, modeling of the new production • Scenario creation and stress-testing: defining scenarios for Asset Liability Management • Way of adjusting the balance sheet to reduce exposure to liquidity risk and financial risk (swaps, swaptions, cap floors if available) and commercial products • Calculating Internal Rate of Cession (IRC) and profitability on the capital of a transaction under Basel III, analysis of the prepayment option • Methodological reconciliation of static and dynamic gaps.
Serge Moulin is the founder of ALM-VISION, a company providing technical support and advisory to financial institutions, including the powerful ALMSolutions® software. He is an investment banker specialized in financial institutions and was managing partner of Riverrock group. Previously, he was co-head of the Strategic Institutions team of Société Générale Corporate &Investment Banking. He worked in a similar position for JP Morgan Chase Bear Stearns Europe. In both positions, he modeled and analyzed banks and insurance companies’ assets and liabilities and advised his customers on their ALM, investments, liquidity and capital. He was formerly an executive officer, having assumed various positions as head of ALM, CIO, CFO, COO and deputy CEO of several financial institutions. He started his career in research, structuring and quantitative management. Mr. Moulin graduated from ENSAE and is a member of the French Institute of Actuaries.
He was deal of the year 2009 for the rescue operation of FORTIS and his team was intensely involved in most of the rescue operations which took place during the 2008 crisis, advising governments, financial institutions and the European Commission.
He is considered as one of the specialist bankers most involved in the different rescue operations in Europe during the crisis. His mandates included Fortis, Dexia, Banques Populaires, Nama – Ireland, Iceland, KBC and, as advisor of the European Commission, on Spanish and German files.
He wrote numerous research papers on finance and lectures at the French National School for Statistics and Economics (ENSAE) and the French Certificate in Asset Liability Management.Download Brochure